Sadly now classified as "urban myth"

[webofevil]

Director Mike Figgis was going through security at LAX when he was asked the reason for his visit. “I’m here to shoot a pilot,” was his response. Obviously he meant “I’m here to shoot the first episode of a TV series that may or may not be picked up for broadcast distribution,” but what the immigration official thought he meant was “I’m here to shoot an airplane pilot with a gun.”

The director of Leaving Las Vegas, Timecode and Internal Affairs was then detained for about five hours until immigration officials could get online and figure out that “pilot” has more than one meaning. [Source: Cinematical.com]